This multi-site, double blind, parallel arm, fixed dose, randomised placebo controlled phase III study compared megestrol acetate 480 mg/day with dexamethasone 4 mg/day for their net effects on appetite in people with cancer anorexia. Patients with advanced cancer and anorexia for ≥ 2 weeks with a score ≤ 4 (0-10 numeric rating scale (NRS) 0 = no appetite, 10 = best possible appetite) were recruited. Participants received megestrol 480 mg or dexamethasone 4 mg or placebo daily for up to 4 weeks. Primary outcomes were at day 7. Responders were defined as having a ≥ 25% improvement in NRS over baseline. There were 190 people randomised (megestrol acetate n = 61; dexamethasone n = 67, placebo n = 62). At week 1 (primary endpoint), 79·3% in the megestrol group, 65·5% in the dexamethasone group and 58·5% in the placebo group (p = 0.067) were responders. No differences in performance status or quality of life were reported. Treatment emergent adverse events were frequent (90·4% of participants), and included altered mood and insomnia. Hyperglycemia and deep vein thromboses were more frequent when on dexamethasone than the other two arms. There was no difference in groups between the three arms, with no benefit seen over placebo with anorexia improving in all arms.Trail registration: The trial was registered on 19/08/2008 with the Australian New Zealand Clinical Trials Registry (ACTRN12608000405314).